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Sensitivity Analysis of VaR and Expected Shortfall for Portfolios under Netting Agreements
Fermanian, Jean-David; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
estimators for sensitivities and derive their asymptotic distributions. An empirical application on a typical banking portfolio …
Persistent link: https://www.econbiz.de/10005858398
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Credit portfolios : What defines risk horizons and risk measurement?
Ebnöther, Silvan; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich> - 2005
Economic cycles are the key credit portfolio risk driver and they are autocorrelated over time. We then show that it is economically meaningful to define risk for credit portfolios in a multi period setup. Since one period expected shortfall fails to measure risk adequately in a multi period...
Persistent link: https://www.econbiz.de/10005858869
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Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation
Egloff, Daniel; Leippold, Markus; Jöhri, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2005
We introduce an adaptive importance sampling method for the loss distribution of credit portfolios based on the Robbins-Monro stochastic approximation procedure. After presenting the subtle construction of the algorithm, we apply our adaptive scheme for calculating the risk figures of a typical...
Persistent link: https://www.econbiz.de/10005858875
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Bank Risk Management and the Franchise Value
Bauer, Wolfgang; Ryser, Marc - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We analyze optimal risk management strategies for a regulatory restricted bank financed with deposits and equity in an … infinite horizonmodel. The bank has a positive franchise value from rents coming from deposit related services (liquidity … franchise value and the liquidation costs in case of a bank run give the bank a motivation for risk management. The franchise …
Persistent link: https://www.econbiz.de/10005859100
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The Quantification of Operational Risk
Leippold, Markus; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
operational risk and then propose a framework to model risk mitigation through the bank’s value chain over time. Using analytical …
Persistent link: https://www.econbiz.de/10005858319
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The Price of Protection : Derivatives, Default Risk, and Margining
Gibson, Rajna; Murawski, Carsten - Institut für Schweizerisches Bankwesen <Zürich> - 2007
Like many financial contracts, derivatives are subject to default risk. A very popular mechanism in derivatives markets to mitigate the risk of non-performance on contracts is margining. By attaching collateral to a contract, margining supposedly reduces default risk. The broader impacts of the...
Persistent link: https://www.econbiz.de/10005858762
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Economic Benefit of Powerful Credit Scoring
Blöchlinger, Andreas; Leippold, Markus - Institut für Schweizerisches Bankwesen <Zürich> - 2005
In this paper, we study the economic benets from using credit scoring models. We contribute to the literature by relating the discriminatory power of a credit scoring model to the optimal credit decision. Given the Receiver Operating Characteristic (ROC) curve of the credit scoring model, we...
Persistent link: https://www.econbiz.de/10005858876
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A Simple Model of Credit Contagion
Eglo, Daniel; Leippold, Markus; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
We propose a simple and implementable model of credit contagion where we in-clude macro- and microstructural dependencies among the debtors within a creditportfolio. We show that, even for diversified portfolios, moderate microstructuraldependencies have already a significant impact on the tails...
Persistent link: https://www.econbiz.de/10005858362
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On the Way to Recovery : A Nonparametric Bias Free Estimation of Recovery Rate Densities
Renault, Olivier; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
n this paper we analyse recovery rates on defaulted bonds using the Standard and Poors / PMD database for the years 1981-1999. Due to the specific nature of the data (observations lie within 0 and 1), we must rely on nonstandard econometric techniques. The recovery rate density is estimated...
Persistent link: https://www.econbiz.de/10005858909
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Operational Risk : A Practitioner's View
Ebnöther, Silvan; Vanini, Paolo; McNeil, Alexander; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
The Basel Committee on Banking Supervision ("the Committee") released a consultative document that included a … risk" has led to vigorous and recurring discussions. We show that for a production unit of a bank with well …
Persistent link: https://www.econbiz.de/10005858943